ssm srep methodology booklet - bank of spain€¦ · ssm and as recommended by . international...

SSM SREP Methodology Booklet

Level Playing Field - High Standards of Supervision - Sound Risk Assessment

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www.bankingsupervision.europa.eu © Supervisory Review and Evaluation Process 2

SREP - Key achievements

Level playing field : SREP for the first time carried out for Significant Institutions according to: • a common methodology • a common decision-making process allowing for peer comparisons and

transversal analyses on a wide scale

High standards of supervision • Follow the EBA guidelines on SREP and draw on leading practices within the

SSM and as recommended by international bodies • Proportionality, flexibility and continuous improvement • Supervisory decisions - not only additional capital requirements but also

additional measures tailored to banks’ specific weaknesses

Sound risk assessment • Combination of quantitative and qualitative elements • Holistic assessment of institutions’ viability taking into account their

specificities • Forward-looking perspective

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Table of contents

3

1

2

3

SREP - Overview

SREP - Methodology

SREP - Legal Basis

4 SREP - Outcome

5 SREP - Where do we stand?

Supervisory Review and Evaluation Process

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SREP in CRD IV - Article 97 ...the competent authorities shall review the arrangements, strategies, processes and mechanisms implemented by the institutions and evaluate: (a) risks to which the institutions are or might be exposed; (b) risks that an institution poses to the financial system and (c) risks revealed by stress testing taking into account the nature,

scale and complexity of an institution's activities.

RTS, ITS and EBA Guidelines

• Implementing Technical Standards (ITS) on joint decisions on prudential requirements

• Regulatory Technical Standards (RTS) and ITS on the functioning of colleges of supervisors

• Guidelines on common procedures and methodologies for the SREP (EBA/GL/2014/13) - 19 December 2014

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The SSM methodology implements Union law, EBA Guidelines and supervisory best practices

BCBS and FSB Principles

1. Legal Basis

https://www.bis.org/index.htm

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2. SREP - Overview (1/2)

* Note: decision finalised after right-to-be-heard procedure and Governing Council non-objection.

Joint Supervisory Teams (JSTs)

JSTs Supervisory Board

Governing Council

Horizontal functions: Methodology &

Standards Development, Risk

Analysis…

Methodology & Standards

Development Division

Supervisory Colleges

Supervisory Colleges

3. Decision * 2. Evaluation

1. Preparation

Supervisors at ECB and in 19 countries jointly prepared SREP decisions for SSM Significant Institutions through a common process for the first time

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Supervisory Review and Evaluation Process 6

2. SREP - Overview (2/2)

Execution fully in line with plan SREP completed in IT system

Experienced supervisors from the ECB and NCAs: - 19 Member States involved - 26 National authorities

involved

Underlying infrastructure built in less than one year Common integrated IT system Secured Information flow between all supervisors Bank data quality controls at 2 levels: NCAs and ECB Full use of NCA and ECB resources In-depth field testing of the methodology in H2 2014 – Q1

2015

SREP managed as a key project Common timeline Steering by Senior Management Project management, methodology development and

horizontal consistency ensured by the ECB’s DG MS IV Full use of ECB and NCA expertise - especially in

methodology development - through thematic workshops and dedicated Q&A sessions delivered by DG MS IV

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3.1. SREP - Methodology: common framework (1/3)

SREP methodology at a glance: four key elements

Feeds into the Supervisory Examination Programme (SEP)

Building block approach in line with EBA Guidelines

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RL n/a

RC n/a

Three phases in on-going risk assessment for each of four elements Risk Level (RL) vs. Risk Control (RC)

1. Business model

2. Internal Governance

and RM

3. Assessment

of Capital risks

4. Assessment of Liquidity

risks

n/a: not applicable

All four SREP elements follow a common logic ensuring a sound risk assessment



Phase 1 Data gathering

• Scoring Risk Level • Formal compliance

checking of Risk Control

Phase 2 Automated

anchoring score

Phase 3 Supervisory Judgement

Adjustments based on additional factors and considering banks’ specificities and complexity

Main sources: • quarterly ITS • STE reports

Combined score (RL + RC)

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The intensity of the supervisory engagement is decided based on banks’ risk profile and size.

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Constrained judgement

Fair flexibility in a four-grade scale where Phase 2 score can be improved by one notch and worsened by two notches based on supervisory judgment

Ensures the right balance between: • a common process, ensuring consistency across the

SSM banks and defining an anchor point, • and the necessary supervisory judgment, to take into

account the specificities and complexity of an institution.

Adjustments go in both directions and are fully documented by the JST in the integrated IT system

Departing from constrained judgement not allowed as a rule

Constrained judgment effectively used by JSTs for all risk categories in both directions: improving as well as worsening Phase 2 scores



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Scale of the constrained judgement

Phase 3 score possible Phase 3 score impossible

1 2 3 41234

Phase 3 scores

Phas

e 2

scor

es

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3.2. SREP - Methodology: Element 1 (1/2)

Business Model

Custodian Diversified lender Retail lender Small universal bank Specialised lender Universal bank

Examples of identified Business Models

Identification of the areas of focus (e.g. main activities)

Assessment of the business environment

Analysis of the forward looking strategy and financial plans

Assessment of the business model: • viability (within 1 year) • sustainability (within 3 years) • sustainability over the cycle (more than

3 years)

Assessment of the key vulnerabilities

In line with EBA SREP Guidelines, § 55-57

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Business Model

RL final

score

Phase 1

Information gathering and understanding materiality of business areas

Phase 2

Automated anchoring score based on indicators, such as ROA, Cost Income ratio…

Phase 3

Comprehensive analysis

Used to adjust phase 2 score taking into consideration the bank’s specificities

3.2. SREP - Methodology: Element 1 (2/2) ECB-PUBLIC

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Internal Governance & Risk Management


Is there a compliance function in place that is

hierarchically and functionally separate and operationally independent from any business activity responsibilities?

Are there mechanisms in place to ensure

that senior management can act in a timely manner to effectively manage, and where necessary mitigate, material adverse risk exposures, in particular those that are close to or exceed the approved risk appetite statement or risk limits?

Two examples of Key Questions


Internal governance framework

(including key control functions such as risk management, internal auditing, compliance)

Risk management framework and risk culture

Risk infrastructure, internal data and reporting

Remuneration policies and practices


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Internal Governance & Risk Management

Phase 1

Information gathering e.g. through the thematic review on internal governance

Phase 2

Check compliance with CRD provisions

Specific analysis of e.g:

• organisational structure, • internal audit, • compliance, • remuneration, • risk appetite, • risk infrastructure, • reporting…

Phase 3


Used to adjust phase 2 check taking into consideration the bank’s specificities


Phase 1 Information gathering

Phase 2 Formal compliance

checking

Phase 3 RC main

assessment

RC final

score Risk

control

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Three different perspectives (“3 Blocks”)

Risks to Capital

3.4. SREP - Methodology: Element 3 Overview


Block 1 Supervisory perspective

Block 2 Bank’s perspective

Block 3 Forward-looking

perspective

Strongest weight on

Block 1 Lot of heterogeneity in

Block 2 assessment results

Block 3 not yet fully fledged

In line with EBA SREP Guidelines

Four Risk categories: Credit risk, Market risk, Operational risk, IRRBB Information

gathering Anchoring scores

on risk categories Comprehensive

analysis

Information

gathering: e.g. ICAAP reports

Anchoring assessment: with proxies in line with the EBA Guidelines*


Information

gathering : bank internal Stress Tests

Anchoring assessment: supervisory Stress Tests


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* SSM proxies implement the concept of supervisory benchmarks set out in the EBA Guidelines on SREP (§ 335)

For SREP 2015

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3.4.1. SREP - Methodology: Element 3 Block 1

Risks to Capital - Block 1

RL final

score

Phase 1 Phase 2 Phase 3

Risk Level: • Sub-set of pre-defined indicators

calculated from ITS and STE data

Risk Control: • Information gathering

Risk Level: • Automated score given through

different dimensions, such as: • Quality (e.g. non performing

loans ratio) • Coverage (e.g. provisions)

Risk Control: • Compliance checks relating to

internal governance, risk appetite, risk management and internal audit of credit risk in particular

Risk Level: • Comprehensive analysis, e.g.:

• Current risk position and trend • Forward looking view • Peer comparison

• In-depth analysis of various sub-categories, e.g.: • Non-financial corporate

portfolios or • Household portfolios

Risk Control:

• Deeper analysis, notably thanks to dedicated meetings with the bank

Deep-dive into a given risk factor: credit risk (example)



checking

Phase 3 RC main

assessment

RC final

score Risk

control

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3.4.2. SREP - Methodology: Element 3 Block 2 (1/3)

ECB ICAAP expectations

ICAAP reliability assessment

Following ECB ICAAP expectations published on 08.01.2016, JSTs: • assess reliability of the whole

process - qualitative assessment

• challenge ICAAP figures with SSM proxies - quantitative assessment

• come up with block 2 assessment to feed the overall capital adequacy assessment

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• Content as described in EBA draft Guidelines to be delivered by end of April 2016 with reference date end 31.12.2015

• Internal documentation together with a “readers manual”

• Risk data template • Reconciliation between Pillar 1 and ICAAP

figures • Conclusions in form of capital adequacy

statements supported by analysis of ICAAP outcomes and signed by management body

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ICAAP - Qualitative assessment



Governance Capital

planning

Scenario design & generation

Internal controls, independent reviews and

documentation

Data, infrastructure, risk capture, measurement &

aggregation

ICAAP

Docu-mentation

Readers’ manual

Bank-internal documents as set out in EBA GL

Mapped to EBA GL structure to facilitate JST access to bank-internal information

JST assessment ICAAP reliable? (yes/no)

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• Give rough quantification of capital demand

• Allow JST to put

institution’s estimates in perspective and underpin supervisory dialogue

• Do not provide a single risk figure, but indicative ranges for JSTs to derive risk-by-risk capital figures based on their judgement

ICAAP - Quantitative assessment



* Concentration risk (single name and sectorial), Market risk. Credit risk, IRRBB

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ICAAP risk data

Risk definition and ICAAP estimates according to banks own risk taxonomy

Proxies*

Internal capital adjusted figure (capital requirements)

• Pillar 1 as floor • No inter-risk

diversification

Assessment

Dialogue with Banks

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3.4.5. SREP - Methodology: Element 3 Block 3 ECB-PUBLIC

Forward-looking perspective In 2016, two large-scale stress test exercises currently

under preparation

The results of both exercises will feed into the SREP

Characteristics EBA EU-wide Stress Test SREP Stress Test

• Remaining SIs* • 38 SSM SIs Scope

• Broadly aligned with the EBA Stress Test

• Launch of the exercise: end of February 2016

• Publication: beginning of Q3 2016

Timeline

* Exceptions may apply - preparation work in progress

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3.4.6. SREP - Methodology: Element 3 - Capital adequacy

After the JST has assessed the three blocks, it obtains a view on the institution’s capital needs from three complementary angles.

It can compare these capital needs

with the quantity and quality of capital that the institution holds and plans to raise in future.

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Block 2 Bank’s

perspective


perspective


3 Blocks - 3 Perspectives to assess capital adequacy

Multiple perspectives on risk for capital adequacy

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Three different perspectives (“3 Blocks”)

Risks to Liquidity



Short term liquidity, funding sustainability Information

gathering Anchoring scores

on short-term liquidity and funding sustainability risks


Information gathering: e.g. ILAAP reports

Anchoring assessment: challenge the institution’s internal estimates

Comprehensive analysis: e.g. of ILAAP reliability

Information gathering: bank internal Stress Tests

Anchoring assessment: supervisory Stress Tests

Assessment of supervisory Stress Tests results and of bank’s internal Stress Tests

Block 2 Bank’s

perspective


perspective

3.5. SREP - Methodology: Element 4 Overview


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Strongest weight on

Block 1 Block 2 not yet fully

fledged

Block 3 not yet fully fledged

For SREP 2015

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3.5.1. SREP - Methodology: Element 4 Block 1

Risks to Liquidity - Block 1

RL final

score

Phase 1 Phase 2 Phase 3 Risk Level:

• Sub-set of pre-defined indicators based on ITS and STE data

Risk Control: • Information gathering

Risk Level: • Automated score given through

several indicators such as: • Liquidity Coverage Ratio • short-term funding / total

funding Risk Control:

• Compliance checks relating to internal governance, risk appetite, risk management and internal audit

Risk Level: • Deeper analysis:

• short term wholesale funding risk

• intraday risk • quality of liquidity buffers • structural funding mismatch

Risk Control: • Deeper analysis, notably thanks

to dedicated meetings with the bank

Deep-dive into a given risk factor: Short term liquidity (example)



checking

Phase 3 RC main

assessment

RC final

score Risk

control

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Risks to Liquidity - Block 2 and 3

3.5.2. SREP - Methodology: Element 4 Block 2 and 3 (1/2)

ECB ILAAP expectations

ILAAP reliability assessment

Following ECB ILAAP expectations published on 08.01.2016, JSTs • assess reliability of the whole process -

qualitative assessment

• challenge ILAAP needs and stress test assumptions with SSM proxies - quantitative assessment

• come up with block 2 and 3 assessment to feed the overall liquidity adequacy assessment


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• Content as described in EBA draft Guidelines by end of April 2016 with reference date end of the previous year

• Internal documentation together with a “readers manual”

• Self-assessment • Conclusions in form of liquidity adequacy

statements supported by analysis of ILAAP outcomes and signed by management body

ECB Banking Supervision: SSM priorities 2016 (extract) Liquidity The 2015 Supervisory Review and Evaluation Process revealed that a number of banks do not yet fully meet supervisory expectations regarding the sound management of liquidity risks. The SSM will therefore focus on the reliability of banks’ Internal Liquidity Adequacy Assessment Processes (ILAAP). Banks’ progress in implementing and maintaining sound frameworks for managing liquidity and funding risk, both in a going concern situation and under stressed circumstances, will be scrutinised.

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ILAAP - Qualitative assessment

3.5.2. SREP - Methodology: Element 4 Block 2 and 3 (2/2)


Governance Funding

strategy and planning

Liquidity risk measurement and

monitoring

Internal controls, independent reviews and

documentation

Data, infrastructure, risk capture, measurement &

aggregation

ILAAP

Docu-mentation

Readers’ manual

Bank-internal documents as set out in EBA GL

Mapped to EBA GL structure to facilitate JST access to bank-internal information

JST assessment ILAAP reliable? (yes/no)

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3.6. SREP - Methodology: Overall assessment


The overall SREP assessment (holistic view) Provides synthetic overview of an institution’s risk

profile: • Based on the assessment of all four elements (not the

simple sum) • As a starting point the four SREP elements are

considered equally important Takes into account:

• the institution’s capital/liquidity planning to ensure a sound trajectory towards the full implementation of CRD IV/CRR,

• peer comparisons, • the macro environment under which the institution

operates.

In line with the EBA SREP Guidelines (table 13, pp. 170 and 171), the overall SREP score reflects the supervisor’s overall assessment of the viability of the institution: higher scores reflect an increased risk to the viability of the institution stemming from one or several features of its risk profile, including its business model, its internal governance framework, and individual risks to its solvency or liquidity position

An institution’s risk profile is necessarily multi-faceted, and many risk factors are inter-related

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High Number of horizontal analyses performed when preparing assessments and decisions in order to provide: • Additional perspectives to JSTs • Support towards policy discussions and

the decision making process

3.7. SREP - Methodology: Horizontal analyses


Consistent and fair treatment

Extensive peer comparisons and transversal analyses were possible on a wide scale for the first time, allowing all institutions to be assessed in a consistent manner and thus promoting a more integrated single banking market.

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3.8. SREP - Methodology: SREP decision (1/4)


SREP decisions by the Supervisory Board (followed by Governing Council non-objection procedure)

SREP decisions may include:

• Additional own fund requirements

o In 2015 expressed as a CET1 ratio add-on (in excess of the minimum CET1 ratio)

o Recommendation to follow a linear path towards “fully loaded” ratios

• Institution-specific quantitative liquidity requirements o LCR higher than the regulatory minimum o Higher survival periods o National measures

• Other, qualitative supervisory measures o Additional supervisory measures stemming from Article 16(2) of the

SSM Regulation are e.g. the restriction or limitation of business, the requirement to reduce risks and the imposition of additional or more frequent reporting obligations.

The overall SREP is the basis for assessing capital and liquidity adequacy and for taking any necessary supervisory measures to address concerns

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SREP decision - Capital measures


Stacking order: Pillar 1, Net Pillar 2, buffers

In 2015 Pillar 2 requirements and (phase-in)

buffers in CET 1

CET1 capital to be taken into account for the MDA calculation is limited to the amount not used to meet the Pillar 1 and 2 CET 1 requirements

Focus on MDA* (in line with EBA Opinion of 18 December 2015)

CET 1 Capital Requirements

* Maximum Distributable Amount: Breaches of the combined buffer requirement (CBR) - defined as the sum of the applicable buffers - lead to mandatory restrictions on distributions (e.g. dividends, coupon payments on AT1 capital instruments, discretionary bonuses). A bank which fails to meet its CBR will be automatically prohibited from distributing more than the so called Maximum Distributable Amount (MDA). The MDA is the bank’s distributable profit multiplied by a factor ranging between 0.6 and 0 depending on how much CET1 capital is missing to meet the CBR.

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Gross SREP 2015

Pillar 1 (min CET 1 requirements)

Net Pillar 2

Capital Conservation Buffer

Early Warning Threshold

max

imum

ap

plie

s

Countercyclical Buffer

G-SII Buffer

SRB O-SII Buffer

MDA restriction trigger point


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SREP decision - Liquidity measures



Concerning the institution-specific supervisory liquidity requirements for 2015: LCR requirements have come into force on 01.10.2015

Liquidity assessment takes into account qualitative and

quantitative assessment, including metrics such as: • funding profile • survival period • liquid assets • reliance on short-term wholesale funding applicable

Example of specific liquidity measures

require an LCR higher than the regulatory minimum

require a specific minimum survival period

require a minimum amount of liquid assets

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Article 16(2) of the SSM Regulation The ECB has the following powers: (a) to require institutions to hold own funds in excess of the capital

requirements; (b) to require the reinforcement of the arrangements, processes,

mechanisms and strategies; (c) to require institutions to present a plan to restore compliance with supervisory requirements and set a

deadline for its implementation, (…) ; (d) to require institutions to apply a specific provisioning policy or treatment of assets in terms of own

funds requirements; (e) to restrict or limit the business, operations or network of institutions or to request the divestment of

activities that pose excessive risks to the soundness of an institution; (f) to require the reduction of the risk inherent in the activities, products and systems of institutions; (g) to require institutions to limit variable remuneration (…) ; (h) to require institutions to use net profits to strengthen own funds; (i) to restrict or prohibit distributions to shareholders, members or holders of Additional Tier 1 instruments

where the prohibition does not constitute an event of default of the institution; (j) to impose additional or more frequent reporting requirements (…) ; (k) to impose specific liquidity requirements, including restrictions on maturity mismatches between assets

and liabilities; (l) to require additional disclosures; (m) to remove at any time members from the management body of credit institutions


SREP decision - Other supervisory measures

30 Supervisory Review and Evaluation Process

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3.9. SREP - Methodology: SREP communication

31 Supervisory Review and Evaluation Process

Ongoing dialogue with

banks

Horizontal dialogue

Public information

Banks have the necessary clarity to understand the methodology, the risk assessment and to take

the measures to improve, the necessary certainty to perform their capital planning.

Horizontal dialogue with the industry: Regular meetings between

Banking associations and DG MS IV

Workshops with all Significant Institutions

Ongoing dialogue with banks: Supervisory Examination

Programme Meetings between banks

and JSTs (especially ahead of SREP decision)

SREP decisions (right to be heard)

Public information: Published “Guide to banking

supervision” Publication of ECB stances

(e.g. on MDA, remuneration, etc.) Speeches by Supervisory Board

Chair and Vice-Chair Letters to MEPs, hearings and

exchange of views with MEPs

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4.1. SREP - Outcome: Key risks

Overall level of risks in 2015 for Significant Institutions has not decreased compared to 2014 The banking system’s capital needs to be maintained, and in some cases, strengthened

Overall capital requirements increased by 50 basis points (bps) from 2015 to 2016 Many banks are still recovering from the 2012 financial crisis, and they continue to face risks and

headwinds. In this context, compared to 2015, the average Pillar 2 requirements increased by 30 bps. Phasing-in systemic buffers explain the second part of the capital requirements increase (20 bps).

Adaptation of banks’ business model in a low interest rate environment spotted as main concern

Key risks for Significant Institutions

SREP 2015 results by Overall score


Average SREP CET 1 impact** (2015 vs. 2014)

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*

Average CET 1 requirements 2015

* very few banks in this bucket lead to high volatility ** excluding Systemic Risk Buffers

Adaption of Business Model/low interest rate

Reversal of search for yield

Governance/ conduct risks

Credit risk/Non-performing Loans Cybercrime/IT risk

Euro area crisis Emerging Markets/ geopolotical risks

Future capital requirements

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Presenter

Presentation Notes

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4.2. SREP - Outcome: CET 1 level (1/2)


Most Significant Institutions have currently capital levels above CET1 requirements and buffers

Banks with CET1 supply above CET 1 requirements but below early warning threshold of 25bp

Banks with CET 1 supply below CET 1 requirements

CET 1 ratio requirements (2016 phase-in) = Pillar 1 + Pillar 2 + Buffers (without early warning threshold of 25 bp)

Banks with CET1 supply above CET 1 requirements and early warning threshold ratio

Note: CET1 supply level capped for readability purposes

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Average of SREP CET 1 requirements* of Significant Institutions is around 9.9%

Median of SREP CET 1 requirements* of Significant Institutions is around 9.7%

Harmonization of SREP CET 1 requirements achieved as part of the SREP 2015 with more consistent and risk-sensitive Pillar 2 CET 1 requirements


4.2. SREP - Outcome: CET 1 level (2/2)

* excluding systemic risk buffers

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Subject to possible changes by Macroprudential authorities

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2015 2016 2017 2018 2019

Pillar 1 min.

Cap. Cons. B.

Pillar 1 min.

Pillar 1 min.

SREP add-on SREP

add-on SREP add-on

Capital Conservation

Buffer

Pillar 1 min.

SREP add-on


Buffer

Pillar 1 min.

SREP add-on


Buffer

Systemic B. Systemic buffers

Systemic buffers

Systemic buffers

Excludes Countercyclical Buffer and reduces the three different systemic buffers to one for simplicity

SREP Decision


4.3. SREP - Capital Planning

Scope for SREP performed by ECB Banking Supervision. Subject to changes depending on factors that influence the SREP outcome (business model, governance, risk profile, capital structure, quality of ICAAP, stress testing, funding and liquidity profile …). All other things being equal, the SREP ratio in the capital decision can expected to remain broadly stable over the phase-in period.

All things being equal, the Pillar 2 requirements set out in the SREP 2015 decisions also provide an indication for the future; especially the capital conservation buffer will phase-in by 2019 with the Pillar 2 net requirement reducing in equal fashion.

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First SREP cycle could be performed efficiently and promoted a level-playing field

Significant harmonization

• Constrained judgment effectively used

• Stronger correlation between risk profile of institutions and capital requirements

In 2016, the SREP methodology will be refined on certain aspects, e.g.

• Liquidity and funding risk assessment

• More harmonized framework for the assessment of ICAAP

• 2016 stress tests under preparation

5. SREP - Where do we stand?

Before 4 Nov 2014

SREP 2014

SREP 2015


Going forward, the SREP methodology will continue to evolve so as to adequately monitor banking activities and risks in a forward looking manner

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ssm srep methodology booklet - bank of spain€¦ · ssm and as recommended by . international...

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